Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0191
Annualized Std Dev 0.2712
Annualized Sharpe (Rf=0%) 0.0703

Row

Daily Return Statistics

Close
Observations 4757.0000
NAs 1.0000
Minimum -0.1440
Quartile 1 -0.0060
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0071
Maximum 0.1394
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0171
Skewness -0.0321
Kurtosis 11.4405

Downside Risk

Close
Semi Deviation 0.0122
Gain Deviation 0.0129
Loss Deviation 0.0139
Downside Deviation (MAR=210%) 0.0166
Downside Deviation (Rf=0%) 0.0122
Downside Deviation (0%) 0.0122
Maximum Drawdown 0.7998
Historical VaR (95%) -0.0247
Historical ES (95%) -0.0422
Modified VaR (95%) -0.0241
Modified ES (95%) -0.0276
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 NA -0.7998 3474 444 NA
2002-04-22 2002-10-09 2003-10-10 -0.3308 319 90 229
2006-05-10 2006-06-13 2006-10-03 -0.1348 102 24 78
2004-02-18 2004-05-17 2004-11-03 -0.1175 180 63 117
2001-12-18 2002-02-22 2002-03-08 -0.0960 30 25 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA NA NA NA NA 0.1 1 1.1
2002 -0.8 2.9 0.2 0.4 0.1 2.6 -1 -0.6 7 1.7 -0.3 0 12.6
2003 0.6 2.8 2.6 -0.5 1.2 -0.4 -1 -0.4 1.6 -0.2 1.1 0.7 8.3
2004 0.9 0.6 0.5 0.3 -0.4 -0.9 0.5 0 1.8 0.4 1.6 0 5.5
2005 1.1 0.4 -1 1.4 0.6 -0.3 0.3 1.2 -0.1 0.2 1.1 -0.4 4.6
2006 0.3 0.6 -0.2 -0.8 1.1 0.5 -0.3 0.7 0 -0.6 -0.9 0.7 1
2007 0.7 -0.8 0.1 0 0.3 -0.2 0.3 2.4 1.9 -3.7 1.6 0.2 2.7
2008 1.5 -3.8 6 2.1 0.1 0.2 -0.3 -0.3 1.7 2.2 -11.2 2.8 0
2009 -2.2 -4.3 2.6 -0.2 1.8 0.6 1.6 -3.8 -4.3 -3.8 1.5 0 -10.4
2010 1.5 0 1.5 -2.3 -1.9 0.2 -0.2 3.9 0.8 -0.2 2.6 0.5 6.3
2011 2.1 -2.2 0.9 0.3 -3.3 1.9 -0.3 -1.6 -3.8 -4.7 -1.1 0.1 -11.3
2012 2 1.7 0.4 0.8 -3.1 4 -0.3 1.3 0.9 1.7 -0.2 1.7 11.4
2013 0.7 0 -0.9 -0.5 -1.9 0.8 1.9 -0.6 0.9 -0.3 0.1 0.2 0.4
2014 -1.6 0.1 1.1 0.4 0 0.8 -0.9 0.3 -0.9 1.6 -0.6 -0.8 -0.6
2015 -1.6 0 0.4 0.6 -0.2 0.9 -0.1 -3.5 0.5 -0.7 1.6 -0.4 -2.7
2016 -0.9 3.1 0.1 -0.6 -0.1 0 -0.7 0.5 1 -0.5 0.9 0.2 3.1
2017 0.3 2.2 -0.5 0.5 0.7 -0.1 0.9 0.2 0.5 0.1 0.1 -0.1 5
2018 0.4 -1.2 1.2 -0.1 0.9 0.3 -0.2 -0.4 0.1 0.8 0 0.7 2.5
2019 -0.1 0.3 2.2 -0.6 -1.2 0.8 -1.7 0.5 -1.7 1 -0.6 0.2 -0.9
2020 -2 -1.9 -5.8 -3 2 -0.4 -1 -0.1 0.3 0.1 2.6 0.4 -8.8
2021 1.2 2.4 -0.7 NA NA NA NA NA NA NA NA NA 2.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-11-16  51.7 SPY    114. -0.0044  0.0145    0.0646  -0.0412   -0.163       NA       NA <NA>     NA    NA       NA
2 2001-11-23  52.4 SPY    116.  0.0144  0.0071    0.065   -0.0182   -0.158       NA       NA <NA>     NA    NA       NA
3 2001-11-27  52.4 SPY    115. -0.0043 -0.00290   0.0463  -0.0136   -0.143       NA       NA <NA>     NA    NA       NA
4 2001-12-05  52.6 SPY    117.  0.0183  0.0358    0.0607   0.036    -0.120       NA       NA <NA>     NA    NA       NA
5 2001-12-06  53   SPY    117. -0.0005  0.0215    0.044    0.0279   -0.113       NA       NA <NA>     NA    NA       NA
6 2001-12-18  51.5 SPY    115.  0.0059  0.0073    0.0054   0.128    -0.167       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart